Detecting a change in the intercept in multiple regression

To detect a change at some unknown time in the constant term of a multiple regression, an obvious statistic is the ratio c 2 of the sum of squares of the partial sums of the residuals to their sum of squares. We show how the methods of Durbin and Watson (1950) can be used to find the true and an app...

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Bibliographic Details
Published in:Statistics & probability letters 1995-04, Vol.23 (1), p.69-72
Main Author: Watson, G.S.
Format: Article
Language:English
Subjects:
Change point
Change point Least squares regression Durbin-Watson statistic Cramer-von Mises statistic
Cramer-von Mises statistic
Durbin-Watson statistic
Exact sciences and technology
Least squares regression
Linear inference, regression
Mathematics
Probability and statistics
Sciences and techniques of general use
Statistics
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Summary:To detect a change at some unknown time in the constant term of a multiple regression, an obvious statistic is the ratio c 2 of the sum of squares of the partial sums of the residuals to their sum of squares. We show how the methods of Durbin and Watson (1950) can be used to find the true and an approximate significance points of c 2, and computable bounds for the true points.
ISSN:0167-7152
1879-2103
DOI:10.1016/0167-7152(94)00096-Q